GPK Options History — September 2020

In September 2020, GPK traded between $13.36 and $14.53. ATM implied volatility averaged 29.7%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.2% (HV 20d: 28.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 95.88.

Notable Days

  • 2020-09-15: Highest Volume — 8,040 contracts
  • 2020-09-21: Largest IV spike — 32.7% change
  • 2020-09-22: Highest IV Rank — 30.6%
  • 2020-09-22: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.02$13.36$14.53$14.18$14.02
Max Pain$14.40$12.50$15.00$15.00$15.00
ATM IV29.7%22.9%39.8%35.6%29.0%
Expected Move8.5%6.6%11.4%10.2%8.3%
HV 20d28.4%23.8%32.2%23.8%29.3%
HV 60d27.0%25.6%30.4%30.2%26.4%
IV Rank19.9%12.8%30.6%26.2%19.2%
IV Percentile48.7%21.8%76.6%67.5%45.6%
Term Structure10.1%-8.9%80.3%15.2%17.0%
VWIV28.6%15.8%62.5%15.8%26.9%
Skew 25d5.5%-6.5%20.7%11.7%8.0%
Skew 10d-1.6%-19.5%21.9%-2.6%-16.0%
Call IV 25d28.0%19.9%36.7%19.9%21.3%
Put IV 25d33.5%24.5%47.9%31.6%29.3%
Bid-Ask Spread %98.6981.01110.1581.01102.11
Gamma HHI0.650.480.850.560.48
Net GEX36.2K-87.9K178.6K74.9K-49.1K
Net DEX3.9M444.5K9.1M1.2M3.5M
Net VEX-12.0K-17.8K-9.2K-17.8K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio95.880.002009.000.000.00
Total Volume580.42938,0401615
Total OI13,049.9529,26918,41514,1639,375

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$14.18$15.0035.6%10.2%23.8%26.2%15.8%11.7%15.2%74.9K1.2M-17.8K0.0081.0116107,4216,742
2020-09-02$14.53$15.0029.9%8.6%25.1%20.1%30.7%-2.6%0.3%132.6K1.1M-16.7K0.0090.308307,5226,742
2020-09-03$14.23$12.5023.3%8.5%26.1%13.1%62.5%-1.1%-8.9%122.2K3.2M-12.6K0.01110.158917,5516,742
2020-09-04$14.52$12.5028.1%8.2%26.4%18.2%28.7%10.5%5.3%147.5K444.5K-16.7K0.00106.3326017,5346,741
2020-09-08$14.06$12.5034.8%7.9%28.7%25.3%29.4%0.8%5.3%126.1K3.2M-11.8K0.0295.9716437,7406,742
2020-09-09$14.14$15.0026.3%7.5%28.2%16.4%27.3%10.6%9.3%132.7K4.0M-9.8K0.00104.62307,8646,745
2020-09-10$13.90$15.0026.6%7.6%28.6%16.6%30.1%6.8%11.7%108.6K3.7M-10.5K0.2099.2951107,8646,745
2020-09-11$14.06$15.0022.9%6.6%29.1%12.8%20.0%20.7%7.7%124.9K3.0M-11.1K0.0495.712717,8656,745
2020-09-14$14.31$12.5028.7%8.2%29.9%18.8%37.7%-5.0%4.7%166.0K2.7M-10.7K3.5789.5214507,7026,744
2020-09-15$14.32$12.5028.1%8.0%29.7%18.2%28.0%-3.1%3.2%178.6K3.4M-9.2K2009.0098.8748,0367,7016,694
2020-09-16$14.32$15.0029.0%8.3%28.7%19.2%29.1%-6.5%2.9%-69.3K6.8M-15.4K0.17102.821227,70310,712
2020-09-17$14.16$15.0030.2%8.6%28.7%20.4%0.0%-5.9%80.3%-83.3K9.0M-12.4K0.0092.302007,70010,710
2020-09-18$14.14$15.0025.7%7.4%27.7%15.7%28.7%-0.4%5.3%-87.9K9.1M-11.7K0.00103.213,03607,68010,706
2020-09-21$13.51$15.0034.2%9.8%32.2%24.6%35.1%6.1%6.6%-34.0K3.8M-11.3K0.0098.921304,1675,102
2020-09-22$13.48$15.0039.8%11.4%28.2%30.6%19.0%16.3%-4.9%-40.8K3.8M-10.9K0.3395.48314,1675,102
2020-09-23$13.36$15.0028.7%8.2%28.3%18.8%0.0%7.8%14.8%-21.3K4.5M-9.2K0.0094.4010104,1685,103
2020-09-24$13.59$15.0032.9%9.4%29.2%23.4%20.8%18.7%-0.7%-41.9K3.9M-10.6K0.07105.281414,2695,103
2020-09-25$13.86$15.0030.0%8.6%30.2%20.3%16.8%10.1%17.2%-43.1K3.6M-11.8K0.00107.95504,2735,104
2020-09-28$13.94$15.0028.4%8.1%30.4%18.5%0.0%1.2%4.9%-59.1K3.6M-11.1K0.00103.861004,2765,104
2020-09-29$13.84$15.0031.0%8.9%29.0%21.3%26.9%10.0%14.5%-23.6K4.3M-9.3K0.0094.42804,2755,104
2020-09-30$14.02$15.0029.0%8.3%29.3%19.2%0.0%8.0%17.0%-49.1K3.5M-10.9K0.00102.11504,2715,104